I agree with many of the opinions already expressed, but I also (rather strongly) disagree with a few.
PIPES
Peterson, Stanwell, Savinelli, Brebbia make excellent entry-level pipes. Smokingpipes.com is a good place to start. I'd avoid cobs and Dr. Grabows. Sure they're cheap, but their poor build quality may turn you off to the whole experience.
TOBACCOS
PLEASE avoid drug store blends (Carter Hall, Half and Half, and especially Captain Black). They use low quality tobacco and load it up with sugar. Again, a cheap product is likely to yield a poor experience. If you have a good local tobacco shop (not a Cheap Smokes) leverage their knowledge. Personally I'm not a fan of Altadis or Lane tobaccos, but they ARE a step up from the drug store brands. There are many excellent blenders (McClellands, Cornell & Diehl, Hearth and Home, etc.) and they each blend such wide varieties that I'm sure you'll find something you like.
It seems like those who try a pipe and don't stick with it all say the same thing: the tobacco burns their tongue, the pipe burns their fingers, after the smoke they're stuck with a stinky, gunky mess. But if you start with a good pipe, good tobacco and TAKE YOUR TIME you'll avoid the pitfalls and have a more pleasant experience.
Again, this is just one man's opinion. Whatever you do, good luck!